Lambda expressions are a simpler syntax for anonymous delegates and can be used everywhere an anonymous delegate can be used. However, the opposite is not true; lambda expressions can be converted to expression trees which allows for a lot of the magic like LINQ to SQL.

The following is an example of a LINQ to Objects expression using anonymous delegates then lambda expressions to show how much easier on the eye they are:

Expression trees are a very powerful new feature of C# 3.0 that allow an API to look at the structure of an expression instead of just getting a reference to a method that can be executed. An API just has to make a delegate parameter into an Expression<T> parameter and the compiler will generate an expression tree from a lambda instead of an anonymous delegate:

void Example(Predicate<int> aDelegate);

called like:

Example(x => x > 5);

becomes:

void Example(Expression<Predicate<int>> expressionTree);

The latter will get passed a representation of the abstract syntax tree that describes the expression x > 5. LINQ to SQL relies on this behavior to be able to turn C# expressions in to the SQL expressions desired for filtering / ordering / etc. on the server side.